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带马氏利率风险模型的破产概率
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安徽省自然科学基金(10040606Q-03);安徽工程大学引进人才科研启动基金(2009YQQ005)


Ruin probabilities for risk models with Markov interest rates
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    摘要:

    为了更好地研究利率因素对破产概率的影响,考虑利率为马氏链的离散时间风险模型,运用归纳法和鞅方法给出有限时间和最终时间破产概率的递归方程和最终破产概率的上界表达式,数值模拟结果表明鞅方法和递归法所得上界优于伦德伯格(Lundberg)上界.

    Abstract:

    In order to study the effects of the factors like interest rate on the ruin probability,we consider a discrete time risk model with Markov chain as interest rates.Recursive and integral equations for ruin probability of finite and ultimate time are given,and upper bounds for ruin probability of ultimate time are obtained by inductive and martingale approaches.Numerical simulation shows that upper bounds for inductive and martingale are better than that of Lundberg.

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胡荣华,李志民.带马氏利率风险模型的破产概率[J].南京信息工程大学学报(自然科学版),2013,5(2):184-187
HU Ronghua, LI Zhimin. Ruin probabilities for risk models with Markov interest rates[J]. Journal of Nanjing University of Information Science & Technology, 2013,5(2):184-187

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  • 收稿日期:2011-09-02

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